Risk Management of Chlor-Alkali Industry based on CVaR

Dong Chen, Tomohiro Murata

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

In recent years, risk management has increased widely from financial institutions, regulators and portfolio managers, such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). Using this model can measure the risks in uncertainty factors and decisions the production planning for a plant. Now, China's Chlor-Alkali industries had to face the grim situation. Comparing with other industries, production planning of Chlor-Alkali industries is more complicated. Especially for an imbalance between demand and response in Chlor-Alkali products market, how to reduce the loss is a major problem for the policymaker. In the current market environment, the plant must make a viable decision while considering the risks from market. That required a market risk analysis. In this paper, we proposed a risk measurement model with a restrictive condition which can optimize the production while taking uncertainties into consideration, such as material price, electricity price, product price, order changes, and especially the restriction of liquid chlorine inventory. Eventually, a case study is submitted to demonstrate the feasibility of the developed model, and verify the effectiveness of the algorithm employed.

Original languageEnglish
Title of host publicationProceedings of the International MultiConference of Engineers and Computer Scientists 2017, IMECS 2017
PublisherNewswood Limited
Pages884-888
Number of pages5
Volume2228
ISBN (Electronic)9789881404770
Publication statusPublished - 2017 Jan 1
Event2017 International MultiConference of Engineers and Computer Scientists, IMECS 2017 - Hong Kong, Hong Kong
Duration: 2017 Mar 152017 Mar 17

Other

Other2017 International MultiConference of Engineers and Computer Scientists, IMECS 2017
CountryHong Kong
CityHong Kong
Period17/3/1517/3/17

Fingerprint

Risk management
Industry
Planning
Risk analysis
Chlorine
Managers
Electricity
Liquids
Uncertainty

Keywords

  • Uncertainty inventory restriction Conditional Value-at-Risk

ASJC Scopus subject areas

  • Computer Science (miscellaneous)

Cite this

Chen, D., & Murata, T. (2017). Risk Management of Chlor-Alkali Industry based on CVaR. In Proceedings of the International MultiConference of Engineers and Computer Scientists 2017, IMECS 2017 (Vol. 2228, pp. 884-888). Newswood Limited.

Risk Management of Chlor-Alkali Industry based on CVaR. / Chen, Dong; Murata, Tomohiro.

Proceedings of the International MultiConference of Engineers and Computer Scientists 2017, IMECS 2017. Vol. 2228 Newswood Limited, 2017. p. 884-888.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Chen, D & Murata, T 2017, Risk Management of Chlor-Alkali Industry based on CVaR. in Proceedings of the International MultiConference of Engineers and Computer Scientists 2017, IMECS 2017. vol. 2228, Newswood Limited, pp. 884-888, 2017 International MultiConference of Engineers and Computer Scientists, IMECS 2017, Hong Kong, Hong Kong, 17/3/15.
Chen D, Murata T. Risk Management of Chlor-Alkali Industry based on CVaR. In Proceedings of the International MultiConference of Engineers and Computer Scientists 2017, IMECS 2017. Vol. 2228. Newswood Limited. 2017. p. 884-888
Chen, Dong ; Murata, Tomohiro. / Risk Management of Chlor-Alkali Industry based on CVaR. Proceedings of the International MultiConference of Engineers and Computer Scientists 2017, IMECS 2017. Vol. 2228 Newswood Limited, 2017. pp. 884-888
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